High-Beta Stock Valuation Around Macroeconomic Announcements
Published In
Financial Review
Document Type
Citation
Publication Date
7-23-2024
Abstract
We document a dramatic swing of high-beta stock returns around pre-scheduled macroeconomic announcements—from being negative on the day before, to positive on the day of, and negative again on the day after the announcements. A feasible long-short strategy of betting against beta (BAB) and betting on beta (BOB) yields annualized 25.28% return over the 3-day announcement window. We explore potential explanations based on liquidity, risk, and investor risk appetite. Our results show that changes in liquidity, risk, and investor risk appetite around the announcements at best partially account for variations in high-beta stock returns. The finding of our study highlights the dynamic effect of macroeconomic announcements on asset prices.
Rights
Copyright © 1999-2024 John Wiley & Sons, Inc
Locate the Document
DOI
10.1111/fire.12408
Persistent Identifier
https://archives.pdx.edu/ds/psu/42504
Citation Details
Chen, J., & Jiang, G. J. (2024). High‐beta stock valuation around macroeconomic announcements. Financial Review. Portico.